Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach

Abstract

This paper uses hybrid models that combine economic fundamentals and micro-market variables to investigate the behaviour of US/Jamaica exchange rate. The co-integration analysis applied to post 2000 monthly data indicates, in contrast to previous studies done on Jamaica that these models give a better fit, produce parameter estimates with sensible signs and sizes and allow for long run relationships which are not present when the micro-based variables are excluded